Characterization of Stationary Discrete-Time Gaussian Reciprocal Processes over a Finite Interval

DOI10.1137/S0895479801368622MaRDI QIDQ4785777zbMATH OpenOpenAlexFDO

Authors Bernard C. Levy, Augusto Ferrante

Publication date 5 January 2003

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0895479801368622

zbMATH Keywords

covariance matrixGaussian reciprocal processsymplectic matrix pencil

Mathematics Subject Classification ID

Canonical forms, reductions, classification (15A21) Matrix pencils (15A22) Hermitian, skew-Hermitian, and related matrices (15B57) Stationary stochastic processes (60G10) Gaussian processes (60G15)

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